Initialize threads later in constructor

Initialize threads later in constructor

Summary: This addresses a test failure where an exception occured in the constructor's call to CreateDirIfMissing(). The existence of unjoined threads prevented this exception from propogating properly. See http://stackoverflow.com/questions/7381757/c-terminate-called-without-an-active-exception

Test Plan: Re-run tests from task #7626266

Reviewers: sdong, anthony, igor

Reviewed By: igor

Subscribers: dhruba

Differential Revision: https://reviews.facebook.net/D41313
(cherry picked from commit e12b403991217c5472135a1e2f8faad1b915d011)